Lombardi, Marco J.

Senior Economist

Bank for International Settlement, Switzerland

Italy

Max Weber alumnus

Department of Economics

Cohort(s): 2007/2008

Ph.D. Institution

University of Florence, Italy

Biography

During my undergraduate studies of economics, I developed a strong interest in financial econometrics, which became the subject of my thesis. With the idea of consolidating the statistical foundations of econometrics, I enrolled in a Ph.D. programme in Applied Statistics, which gave me the opportunity to focus my research on computationally-intensive estimation procedures. In particular, I worked extensively with indirect inference and Bayesian MCMC samplers. During some months spent at the Department of Engineering of the University of Cambridge, I had the opportunity to learn about particle filters, or sequential Monte Carlo samplers.
After my Ph.D. dissertation, I was hired by the ECB, where I have been in charge of seasonal adjustment and time series analysis of monetary aggregates. I stayed with the ECB for two years, and I had the opportunity to interact with macroeconomists and start some research projects involving the application of Sequential Monte Carlo techniques to the estimation of DSGE models.
Currently, I am assistant professor at the University of Pisa and my research is mostly concentrated on Bayesian estimation of DSGE models, including identification and prior elicitation issues. However, I have a somehow more ambitious research idea which I would like to pursue in the following years: the possibility that particle filters can be used not only to estimate nonlinear economic models, but they can also provide a useful framework in which to inscribe some facts of economic theory.

Back to top